Re: [Gretl-users] question
Am 23.01.2009 17:41, Dennis van Amelsfort schrieb:
Hello,
I´m a student and currently working on my masters thesis to conclude my
accountancy study.
My question regards the use of OLS and GLS. I have a large panel data
collection, consisting of about 1500 firms, with observations over max.
3 years. So OLS regression is bound to lead to biased errors, since the
data have both time series and cross sectional dimensions. Therefore, I
have estimated the model using the random effects GLS method, and the
model seems to be valid. At the bottom of this mail I included the results.
Hausman test -
Null hypothesis: GLS estimates are consistent
Asymptotic test statistic: Chi-square(15) = 113,98
with p-value = 2,76456e-017
I'm afraid the model isn't valid, because consistency of the
random-effects-GLS estimates is overwhelmingly rejected here. The
standard procedure would be to switch to the fixed effects (aka
least-squares dummy variables) estimator.
good luck,
sven